Our security team has recently put together a very unique approach to security -- get the info you need to fight XSS, SQL Injection and more at:

http://channel9.msdn.com/wiki/default.aspx/SecurityWiki.SecurityTrainingModules

Customer feedback has been great and there are more coming soon!

Also check out these links to other solid Security guidance:

ASP.NET 2.0 Security Guidance Library
 
Key Recommendations/Guidelines:
 
How Things Work:

Security Engineering
Web Application Security Engineering:

ASP.NET 2.0 Security Code Review: 

Cheat Sheets

Index of ASP.NET 2.0 Security Guidance